This paper presents an original approach to dynamic anomalous behavior detection in individual trajectory using a recursive Bayesian filter. The anomalous pattern detection is of great interest for navigation, driver assistance systems, surveillance as well as crisis management. In this work, we focus on the GPS trajectories of automobiles finding where the driver's behavior shows anomalies. Such anomalous behaviors can happen in many cases, especially when the driver encounters orientation problems, i.e., taking a wrong turn, performing a detour, or losing the way. First, three high-level features, i.e., turns and their density, detour factor, and route repetition are extracted from the given trajectory geometry, for which a long-term perspective is required to observe data sequences of a significant length instead of individual time stamps. We therefore employ high-order Markov chains with a 'dynamic memory' to model the trajectory integrating these long-term features. The Markov model is processed by a proposed recursive Bayesian filter to infer an optimal probability distribution of the potential anomalous driving behaviors dynamically over time. The filter performs unsupervised detection in single trajectories based on local features only. No training process is required to characterize the anomalous behaviors. By analyzing the detection results of individual trajectories, collective behaviors can be derived indicating traffic issues such as congestions and turn restrictions. Experiments are performed on volunteered geographic information (VGI) data, self-acquired trajectories, and open trajectory datasets to demonstrate the potential of the proposed approach.